Weekly Sentiment Analysis of the Euro & LITERATURE Review

MAJOR BULLETS News vs. sentiment  permanent vs. temporal price returns Sentiment indicators are temporal, since it effects prices, not the economy. OSI works as an EOD indicator with a 1-day lag. Q of the paper: ‘Can Social Media and Sentiment Data Be Included in a Prediction Model?’ Q: EOD

Courtesy of ‘Performance Analytics’ package for R

Important Points OSI measures top-line market sentiment for intraday price moves. Not a momentum indicator, every day is new. Noise trading indicator SEE CORRELATION MATRIX

Correlation Matrix Correlations of all the portfolio sets.

MAIN Q OF THE PAPER: Can Social Media and Sentiment Data Be Included in a Prediction Model?’